Weak convergence of Markov-modulated diffusion processes with rapid switching |
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| Affiliation: | 1. University of St.Gallen, Bodanstrasse 6, 9000 St.Gallen, Switzerland;2. London School of Economics, Houghton Street, London WC2A 2AE, UK;1. Fachbereich Mathematik, TU Darmstadt, Schlossgartenstrasse 7, 64289 Darmstadt, Germany;2. Département d’Informatique, Université Libre Du Bruxelles, ULB CP212, Boulevard du Triomphe, 1050 Bruxelles, Belgium;1. Department of Mathematics, University of Washington, Box 354350, Seattle, WA 98195-4350, USA;2. Alfréd Rényi Institute of Mathematics, Hungarian Academy of Sciences, PO Box 127, 1364 Budapest, Hungary;3. Microsoft Research, 1 Microsoft Way, Redmond, WA 98052, USA |
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| Abstract: | ![]()
In this paper, we study the weak convergence of a sequence of Markov-modulated diffusion processes when the modulating Markov chain is ergodic and rapidly switching. We prove, in particular, its tightness property based on Aldous’ tightness criterion. |
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| Keywords: | Diffusion processes Markov modulation Weak convergence |
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